Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.2721
Annualized Std Dev 0.4013
Annualized Sharpe (Rf=0%) -0.6780

Row

Daily Return Statistics

Close
Observations 3696.0000
NAs 1.0000
Minimum -0.2244
Quartile 1 -0.0116
Median -0.0016
Arithmetic Mean -0.0009
Geometric Mean -0.0013
Quartile 3 0.0077
Maximum 0.2260
SE Mean 0.0004
LCL Mean (0.95) -0.0018
UCL Mean (0.95) -0.0001
Variance 0.0006
Stdev 0.0253
Skewness 0.2200
Kurtosis 12.2935

Downside Risk

Close
Semi Deviation 0.0173
Gain Deviation 0.0212
Loss Deviation 0.0184
Downside Deviation (MAR=210%) 0.0223
Downside Deviation (Rf=0%) 0.0177
Downside Deviation (0%) 0.0177
Maximum Drawdown 0.9947
Historical VaR (95%) -0.0339
Historical ES (95%) -0.0582
Modified VaR (95%) -0.0346
Modified ES (95%) -0.0346
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-03-17 NA -0.9947 3102 3099 NA
2006-07-18 2007-10-09 2008-09-17 -0.3536 547 310 237
2008-10-28 2008-11-04 2008-11-20 -0.3102 18 6 12
2008-10-13 2008-10-13 2008-10-27 -0.2244 11 1 10
2008-09-18 2008-09-26 2008-10-06 -0.1428 13 7 6

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA 1 -1 0.7 1.5 0.6 1.7 4.5
2007 -1.1 0.7 -0.1 -0.5 -0.6 0.3 -1.2 -1.6 -2.3 4.7 -2 1.8 -2.1
2008 -3.9 4.8 -7.2 -3.7 -0.4 -0.5 1.1 1.9 -0.8 -3.5 17.2 -2.4 0.7
2009 4.5 4.6 -4.2 -0.8 -4.3 -0.9 -0.3 4.5 5.1 5.5 -2.4 1.8 13
2010 -3 -2.1 -1.4 3.4 3.4 0.5 0 -5.8 -0.9 0 -4.2 -0.2 -10.3
2011 -3.2 3.3 -0.8 -0.5 4.5 -3 0.9 2 4.9 5.4 -0.1 0.8 14.7
2012 -1.9 -1.3 -0.7 -1.3 5 -5.2 0.1 -1 -0.4 -2.5 -0.1 -3.7 -12.4
2013 -2 -0.7 0.8 1.7 3 -1.2 -2.3 0.7 -1.6 -0.5 0.2 -1 -3.1
2014 1.2 -0.4 -1.3 0 -0.3 -1.3 0.6 -0.6 2.7 -2.2 1.4 1.9 1.6
2015 2.7 0.7 0.8 -2.1 -0.3 -1.6 0.3 5.9 -0.5 1 -2 2 6.9
2016 -0.1 -5.1 -1.4 0.9 -0.4 -0.4 0.1 -0.1 -1.6 1.3 0.8 0.7 -5.5
2017 -0.1 -2.7 0.4 -0.5 -1.6 -0.2 -0.5 -0.3 -0.7 -0.3 0.4 0.7 -5.3
2018 0.3 2.6 -2.8 -0.4 -2.1 -0.2 0.2 0 -0.7 -2 -1.3 -1.8 -7.9
2019 -0.1 -1.3 -2.3 1.4 2.6 -1.6 1.7 0.1 2.5 -1.8 0.8 -0.5 1.1
2020 3.7 1 8.9 5.3 -0.8 -1.3 -1.6 -1.9 -1.2 2.2 -2.2 -1.2 10.8
2021 -3.1 -4.9 0.3 NA NA NA NA NA NA NA NA NA -7.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-07-13 1176. SPY    124  -0.0163 -0.027     0.0118  -0.0379   0.0128    0.231   0.0416 GLD    65.6  0.0097   0.0401
2 2006-07-14 1184  SPY    124. -0.0039 -0.0244    0.0002  -0.0403   0.005     0.229   0.0319 GLD    65.8  0.0046   0.0514
3 2006-07-17 1193. SPY    123. -0.0015 -0.0277   -0.022   -0.0413   0.0041    0.234   0.043  GLD    64.0 -0.0289   0.0311
4 2006-07-18 1186. SPY    124.  0.0051 -0.027    -0.0055  -0.0515   0.0132    0.259   0.0472 GLD    62.9 -0.0164  -0.0143
5 2006-07-19 1146. SPY    126.  0.0139 -0.00290   0.0163  -0.0402   0.0217    0.263   0.0371 GLD    64.0  0.018   -0.0137
6 2006-07-20 1164. SPY    125. -0.0068  0.0067    0.006   -0.048    0.0113    0.270   0.0212 GLD    62.5 -0.0233  -0.0459
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart